Preheat oven to 350 degrees F.
In a medium saute pan, heat 1 tablespoon of the olive oil over medium-high heat. Season the fish fillets on both sides with salt and black pepper, to taste. Saute the fillets until they are opaque and just cooked through, about 2 minutes per side. Transfer the fish to a glass baking dish where they fit snugly.
In the same saute pan, heat the remaining 2 tablespoons of olive oil over medium-high heat. Add the onion and garlic and cook until the onion is translucent, about 5 minutes. Add the tomatoes, Anaheim chile, bay leaf and oregano and bring the pan to a boil. Reduce the heat to medium, cover and let the sauce simmer until the chiles soften, about 6 minutes. Uncover the pan, add the olives and capers, and cook until the flavors combine, about 4 minutes. Season the sauce with salt and pepper, to taste.
Pour the sauce over the fish in the baking dish. Bake until the fish is heated through, about 5 minutes. Remove the dish from the oven, discard the bay leaf and serve.